Browsing by Author "Chen, Wenjuan"

Now showing items 1-6 of 6

2013-02-28Buch

Are There Bubbles in the Sterling-dollar Exchange Rate?

New Evidence from Sequential ADF Tests

Bettendorf, Timo; Chen, Wenjuan

There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. ...
2012-05-22Buch

Do Japanese Stock Prices Reflect Macro Fundamentals?

Chen, Wenjuan; Velinov, Anton

This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification ...
2015-04-13Buch

Is There an Asymmetric Impact of Housing on Output?

Lee, Tsung-Hsien Michael; Chen, Wenjuan

Numerous papers have tried to understand housing’s role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that ...
2011-09-30Buch

On the Continuation of the Great Moderation

New evidence from G7 Countries

Chen, Wenjuan

This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results con rm that the recent nancial crisis did cause a simultaneous ...
2015-09-04Buch

On the Long-run Neutrality of Demand Shocks

Chen, Wenjuan; Netsunajev, Aleksei

Long run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use ...
2015-05-21Buch

The Information Content of Monetary Statistics for the Great Recession

Evidence from Germany

Chen, Wenjuan; Nautz, Dieter

Abstract: This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal ...